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\author{王立庆（2019级数学与应用数学1班）}
\title{应用随机过程(全英语)：课程介绍}
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%\date{2020 年 2 月 28 日}

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\section{中文}

\begin{myitemize}
\item  课程名称: 应用随机过程(全英语)
\item  学分:  2
\item  周学时:  2（1-15周）
\item  开课学院: 统计与数学学院
\item  预修课程: 数学分析、高等代数、概率论     
\item  修读对象: 2019级数学与应用数学1班
\item  课程简介: 应用随机过程是本科数学与应用数学专业的基础课程之一，是概率论的延续，并为继续研究金融数学和概率模型理论打下基础。本课程内容包括离散时间和连续时间的马尔科夫链、齐次和非齐次的泊松过程，更新过程、纯生过程、布朗运动等方面的基本理论和方法。通过本课程的学习，可以对系列发生的随机现象做出适当的概率模型。

%随机过程，离散时间马氏链，状态的分类，平稳分布，极限分布，马氏链基本定理，齐次泊松过程，非齐次泊松过程，复合泊松过程，连续时间马氏链，生灭过程，更新过程，更新定理，布朗运动，反射原理。

\item  拟用教材: Mark Pinsky, Samuel Karlin, An Introduction to Stochastic Modeling, Fourth Edition, Elsevier, December 2013, Singapore; 机械工业出版社，2013年2月第1版。
\item  参考教材:  
    \begin{itemize}
    \item 王军，王娟，随机过程及其在金融领域中的应用，清华大学出版社，2007年4月第1版。
    \item  张波，商豪，应用随机过程，中国人民大学出版社，2016年6月第四版。
    \end{itemize}
\end{myitemize}


\section{英文}

\begin{myitemize}

\item  Course Title: Applied Stochastic Processes    
\item  Credit: 2
\item  Periods per week:  2 (1-15 weeks)
\item  School: Statistics and Mathematics 
\item  Preparatory Course: Mathematical Analysis, Higher Algebra, Probability Theory
\item  Students: Mathematics and Applied Mathematics
\item  Contents: This course is major elective for students in mathematics and applied mathematics. The students are expected to have some basic knowledge in probability theory. This course is the foundation for further study in financial mathematics and other probabilistic models. The course introduces basic theory and methods in discrete time and continuous time Markov chains, homogenous and inhomogeneous Poisson processes, renewal processes, pure birth processes, and brownian motions. Upon completion of the course the students should be able to build stochastic models for series of stochastic phenomena. 

\item  Textbook: Mark Pinsky, Samuel Karlin, An Introduction to Stochastic Modeling, Fourth Edition, Elsevier, December 2013, Singapore.
\item  Reference: 
    \begin{itemize}
    \item Jun Wang, Juan Wang, Stochastic Processes and Its Applications in Financial Fields, Tsinghua University Press, First Edition, April 2007.
    \item  Bo Zhang, Hao Shang, Applied Stochastic Processes, China Renmin University Press, Fourth Edition, June 2016.
    \end{itemize}

\end{myitemize}


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